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Markov chain Monte Carlo and sequential Monte Carlo methods have emerged as the two main tools to sample from high dimensional probability distributions. Although asymptotic convergence of Markov chain Monte Carlo algorithms is ensured under weak assumptions, the performance of these algorithms is unreliable when the proposal distributions that are used to explore the space are poorly chosen and/or if highly correlated variables are updated independently. We show here how it is possible to build efficient high dimensional proposal distributions by using sequential Monte Carlo methods. This allows us not only to improve over standard Markov chain Monte Carlo schemes but also to make Bayesian inference feasible for a large class of statistical models where this was not previously so. We demonstrate these algorithms on a non-linear state space model and a Lévy-driven stochastic volatility model.
|Pages (from-to)||269 - 342|
|Number of pages||74|
|Journal||Journal of the Royal Statistical Society: Series B|
|Publication status||Published - Jun 2010|
Bibliographical notePublisher: Wiley
Andrieu, C., Doucet, A., & Holenstein, R. (2010). Particle Markov chain Monte Carlo methods. Journal of the Royal Statistical Society: Series B, 72(3), 269 - 342. https://doi.org/10.1111/j.1467-9868.2009.00736.x